Date Range
Date Range
Date Range
What the Swiss FX shock says about risk models. Model risk of risk models. Why risk is so hard to measure. An evaluation of the Basel III market risk proposals. On fiscal and monetary policy in Iceland. The forecasts are one trading into the future from the last observation. Average risk over the past month, quarter and year. Are they the future? .
Why risk is so hard to measure. Can we prove a bank guilty of creating systemic risk? Endogenous and systemic risk. Robust forecasting of dynamic conditional correlation GARCH models. Endogenous extreme events and the dual role of prices. Procyclical leverage and endogenous risk. Exchange rate determination and inter-market order flow effects. Regime switches in the volatility and correlation of financial institutions. Fat tails, VaR and subadditivity.
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